Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0109
Annualized Std Dev 0.1357
Annualized Sharpe (Rf=0%) 0.0806

Row

Daily Return Statistics

Close
Observations 2974.0000
NAs 1.0000
Minimum -0.1050
Quartile 1 -0.0035
Median 0.0004
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0044
Maximum 0.0597
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0086
Skewness -1.4927
Kurtosis 20.2136

Downside Risk

Close
Semi Deviation 0.0065
Gain Deviation 0.0055
Loss Deviation 0.0074
Downside Deviation (MAR=210%) 0.0115
Downside Deviation (Rf=0%) 0.0065
Downside Deviation (0%) 0.0065
Maximum Drawdown 0.3274
Historical VaR (95%) -0.0124
Historical ES (95%) -0.0211
Modified VaR (95%) -0.0138
Modified ES (95%) -0.0377
From Trough To Depth Length To Trough Recovery
2012-11-26 2020-03-18 NA -0.3274 2094 1840 NA
2010-09-07 2011-01-14 2012-05-21 -0.2019 431 92 339
2009-06-22 2009-07-08 2009-10-06 -0.1100 75 12 63
2012-07-27 2012-08-13 2012-10-01 -0.0740 46 12 34
2009-10-09 2009-12-30 2010-03-08 -0.0623 102 57 45

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA -0.7 1.4 1.3 0.8 0.7 -0.2 1.1 0.2 4.8
2010 0.7 0 0.7 -0.1 0.1 0.7 0.3 0.3 0.3 -0.5 -1.7 1.4 2.2
2011 1.1 0.9 0.5 0.5 -0.7 0.6 0.9 -0.2 -0.1 1.2 0.9 1.2 7
2012 0.4 0.4 1 0.7 -0.3 0.5 -0.5 0.6 1.3 0.1 -0.6 1 4.6
2013 -0.2 -0.1 -0.4 0.5 -0.8 1 -0.1 0 -0.1 -1.7 0.2 -0.8 -2.5
2014 0.4 -0.1 -0.1 0.7 -0.1 -0.1 0.6 0 0.3 0.1 0 -0.2 1.6
2015 0.5 0.2 0.3 -0.8 0.9 0.5 0.7 0 0.2 0 -0.3 0 2.3
2016 0.2 0.1 0.6 0.8 1.1 0.7 -0.2 0 0.2 0.5 -0.6 0 3.4
2017 0.3 -1.1 0 0.2 -0.1 -0.3 0.6 0 -0.7 0.5 0.1 -0.2 -0.6
2018 -0.5 0.2 -0.6 0 0 0.5 0.9 0.7 0 -0.7 0.3 0.3 1.3
2019 1.3 0 0.2 2 1.6 0.9 0.3 0.4 0.4 0.5 0 -0.6 7.2
2020 -0.4 -0.8 -3.2 0.1 0.9 -0.2 0.2 0.4 0.4 1.9 -0.1 0.2 -0.6
2021 0.2 -0.3 3.4 NA NA NA NA NA NA NA NA NA 3.3

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart